Ok, back...with some notes for this post:
- Ubuntu is too dim
- sudo / no root policy on Ubuntu is lame and annoying
- Wine is annoying - it's like a half-cut apartment frame. You have to finish building the upper half part before adding furniture and decorations...
What we see below is: Ubuntu Edgy + Wine(Universe) + msttcorefonts(Universe) +
EU (which decided to repopulate my /home/mrproper folder with itself

)

Click to enlarge
Logs say:
04/15/07 20:04:17: DXWSetup: DirectX Version: 4.09.00.0904.00
04/15/07 20:04:17: DXWSetup: Setup Version: 4.09.00.0904.00
04/15/07 20:04:17: DXWSetup: A newer version of DirectX have been installed already.
So, it's basically Wine's fault. Installed DX version: 9. Installing version 9, aborted. Installing DX SDK patches, impossible since DX9 is not installed for real!